[PDF] Top 20 Two dimensional ruin probability for subexponential claim size
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Two dimensional ruin probability for subexponential claim size
... since many catastrophic events like earthquakes, storms, terrorist attacks etc are used in their description. Insurance companies use e.g. the lognor- mal distribution (which is subexponential) to model car ... See full document
21
Uniform asymptotics for ruin probabilities in a two dimensional nonstandard renewal risk model with stochastic returns
... the two marginal distributions of the claim-size vec- tor belong to the intersection of the dominated-variation class and the class of long-tailed distributions, we obtain uniform asymptotic formulas ... See full document
18
Ruin problems of a two-dimensional fractional Brownian motion risk process
... the ruin probabilities for such models is of particular ...the claim sizes, these risk models are often approximated by the Bm (also called diffusion) ...the claim sizes smaller in such a way that ... See full document
25
Statistical analysis of mixtures underlying probability of ruin
... on two- component exponential scale mixtures and discuss their infl uence on Cramer-Lundberg ruin ...and claim size distribution of exponential and a mixture of exponentials type see (Scheldon, ... See full document
6
A Reinsurance Approach in a Two Dimensional Model with Dependent Risks
... studied two-dimensional risk processes where an insurer has two classes of business or insurance risks and in each of these two classes there is a surplus process similar to that one of the ... See full document
12
First crossing time, overshoot and Appell-Hessenberg type functions
... i.i.d claim amounts and consider dependent claim sizes with any joint ...Poisson claim arrivals and assume that claims arrive according to a point process with independent ...discontinuous) ... See full document
23
The Distribution of the Time of Ruin, the Surplus Immediately before Ruin and Deficit at Ruin under Two Sided Risk Renewal Process
... the claim amount lead to a new branch of risk process called two sided risk ...in two sided jumps field have got a remarkable ...various ruin probability components under two ... See full document
9
Logarithmic Asymptotics For Probability Of Component-Wise Ruin In A Two-Dimensional Brownian Model
... total claim amount process by time t minus its expectation, the latter is usually called the pure premium amount and calculated to cover the average payments of ...capital. Ruin related problems for ... See full document
21
Moments of the time of ruin, penultimate surplus and deficit at ruin under two sided risk renewal process
... of ruin, the surplus before ruin and the deficit at ruin ...of ruin ,surplus before ruin time, probability of ruin such that claim size distribution is ... See full document
5
Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter claim time
... of two independent exponential random ...the claim size and the inter-claim ...of ruin probability is given for exponential claim ... See full document
13
Ruin Probability for Non-standard Poisson Risk Model with Stochastic Returns
... which extends (5) essentially. Jiang ([10]) extended some results to the risky case. See also Jiang ([8], [9]). Dufresne and Gerber ([4]) first researched the ruin probability for jump-diffusion Poisson ... See full document
6
On the First Crossing of Two Boundaries by an Order Statistics Risk Process
... finite-time ruin formulas under Poisson claim arrivals, involving Appell ...polynomials. Ruin formulas under more general arrival processes have been recently established: by Ignatov and Kaishev ... See full document
15
An estimation method of the direct benefit of a waterlogging control project applicable to the changing environment
... Based on the joint probability density distribution (Fig. 2) and the marginal distribution, the integral area was defined as (41.57~200 mm, 55.96~64.5 m). The waterlogging design combination of the ... See full document
7
Dependent Risk Modelling and Ruin Probability: Numerical Computation and Applications
... finite-time ruin probability, but also the deficit at ...at ruin may be small, allowing the company to easily borrow and ...at ruin in the definition of alarm time allows one to emphasize only ... See full document
109
Minimizing an Insurer’s Ultimate Ruin Probability by Noncheap Proportional Reinsurance Arrangements and Investments
... This section discusses the numerical method to be applied in finding numerical solutions of the survival probability φ ( u ) using a fixed grid u = 0, h, 2h, . . .. The assumptions of Theorem 1 are assumed to hold ... See full document
20
The ruin as memorial the memorial as ruin
... the two that is celebrated in ruins: ruins authenticate catastrophes and the trauma they induce, they are trauma made ...following, two highly contested if very different examples of memorial ruins ... See full document
18
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
... This paper investigates optimal investment and reinsurance policies for an insurance company under a correlated risk model with common Poisson shocks. The goal of the insurance company is to minimize the ultimate ... See full document
13
Markov Dependent Risk Model with Multi Layer Dividend Strategy and Investment Interest under Absolute Ruin
... To the best of our knowledge, Markov-dependent risk model with multi-layer dividend strategy and investment interest under absolute ruin has not been investigated. This motivates us to investigate such a risk ... See full document
9
Optimal investment policy for an insurer with ambiguity aversion: maximizing exponential utility of terminal wealth
... f is an admissible policy. A basic assumption behind this model is that the insurer knows exactly about true probability measure P used in computing above equation. However, some researchers have argued that the ... See full document
9
Evidence based Trustworthiness
... the claims’ veracity, over our synthetic dataset. JELTA achieves the highest accuracy, by around 5%, and shows a low standard deviation over the 10 rounds of experiments. Figure 4 (b) reports the accuracy on Emergent. We ... See full document
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